Bayesian multiple structural change-points estimation in time series models with genetic algorithm

DOI10.1016/j.jkss.2013.02.001zbMath1294.62248OpenAlexW2003147059MaRDI QIDQ395906

Chulwoo Jeong, Jae-Hee Kim

Publication date: 7 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2013.02.001

zbMATH Keywords

posteriorBICGDPchange-pointgenetic algorithm (GA)Bayesian time series model with multiple structural changestruncated Poisson

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Bayesian inference (62F15)

Related Items (3)

Estimation and identification of periodic autoregressive models with one exogenous variable ⋮ Stochastic approximation Monte Carlo Gibbs sampling for structural change inference in a Bayesian heteroscedastic time series model ⋮ A Bayesian multiple structural change regression model with autocorrelated errors

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